A matrix inequality and admissibility of linear estimators with respect to the mean square error matrix criterion (Q1107916)

Given matrices A, B and vectors a, b, a necessary and sufficient condition is established for the Löwner partial ordering \[ (Am+a)(Am+a)'\leq (Bm+b)(Bm+b)' \] to hold for all vectors m. This result is then applied to derive a complete characterization of estimators that are admissible for a given vector of parametric functions among the set of all linear estimators under the general Gauss-Markov model, when the mean square error matrix is adopted as the criterion for evaluating the estimators.